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Journal of Business & Economic Statistics
Journal Prestige (SJR): 3.664
Citation Impact (citeScore): 2
Number of Followers: 41  
 
  Full-text available via subscription Subscription journal
ISSN (Print) 0735-0015 - ISSN (Online) 1537-2707
Published by American Statistical Association Homepage  [5 journals]
  • Associate Editors

    • Free pre-print version: Loading...

      Pages: i - i
      Abstract: Volume 42, Issue 1, January 2024, Page i-i
      .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2024-01-03T02:47:23Z
      DOI: 10.1080/07350015.2024.2291309
      Issue No: Vol. 42, No. 1 (2024)
       
  • Generalized Spectral Tests for Multivariate Martingale Difference
           Hypotheses

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      Authors: Xuexin WangPaula; Gregory Chow Institute for Studies in Economics, The Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, China
      Pages: 1 - 27
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2024-02-13T04:03:54Z
      DOI: 10.1080/07350015.2024.2301954
       
  • GDP Solera: The Ideal Vintage Mix

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      Authors: Martín AlmuzaraDante AmengualGabriele FiorentiniEnrique Sentanaa Federal Reserve Bank of New York; New York, NYb CEMFI, Madrid, Spainc Universitá di Firenze, Firenze, Italyd RCEA, Rimini, Italye CEPR, London, UK
      Pages: 1 - 14
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2024-01-23T02:16:48Z
      DOI: 10.1080/07350015.2023.2273622
       
  • Model Checking in Partially Linear Spatial Autoregressive Models

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      Authors: Zixin YangXiaojun SongJihai Yua Department of Business Statistics; Econometrics, Guanghua School of Management, Peking University, Beijing, Chinab Center for Statistical Science, Peking University, Beijing, China
      Pages: 1 - 26
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2024-01-04T12:25:54Z
      DOI: 10.1080/07350015.2024.2301958
       
  • Noncommon Breaks

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      Authors: Simon C. SmithFederal Reserve Board; Washington, DC
      Pages: 1 - 24
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2024-01-04T12:24:55Z
      DOI: 10.1080/07350015.2024.2301969
       
  • Nonparametric Identification and Inference of First-Price Auctions with
           Heterogeneous Bidders

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      Authors: Zheng LiDepartment of Agricultural; Resource Economics, North Carolina State University, Raleigh, NC
      Pages: 1 - 9
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-12-27T01:16:20Z
      DOI: 10.1080/07350015.2023.2299432
       
  • Linking Frequentist and Bayesian Change-Point Methods

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      Authors: David ArdiaArnaud DufaysCarlos Ordás Criadoa GERAD & Department of Decision Sciences; HEC Montréal, Montreal, Canadab Faculty of Data Science, Economics & Finance, EDHEC Business School, Roubaix, Francec Department of Economics, Laval University, Quebec City, Canada
      Pages: 1 - 14
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-12-15T06:43:25Z
      DOI: 10.1080/07350015.2023.2293166
       
  • An Econometric Analysis of Volatility Discovery

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      Authors: Gustavo Fruet DiasFotis PapailiasCristina Scherrera School of Economics – University of East Anglia (UEA); Norwich, UKb King’s Business School – King’s College London, London, UKc Department of Finance – London School of Economics (LSE), London, UK
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-12-15T03:57:10Z
      DOI: 10.1080/07350015.2023.2292178
       
  • Unconditional Quantile Regression for Streaming Datasets

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      Authors: Rong JiangKeming Yua Shanghai Polytechnic University; Shanghai, Chinab Brunel University London, UK
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-12-14T02:57:54Z
      DOI: 10.1080/07350015.2023.2293162
       
  • A Ridge-Regularized Jackknifed Anderson-Rubin Test

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      Authors: Max-Sebastian DovìAnders Bredahl KockSophocles Mavroeidisa International Monetary Fund; Washington, DCb Department of Economics, University of Oxford, Oxford, UK
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-12-12T01:30:31Z
      DOI: 10.1080/07350015.2023.2290739
       
  • Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models
           with Interactive Fixed Effects

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      Authors: Yiqiu CaoSainan JinXun LuLiangjun Sua School of Economics; Management, Tsinghua University, Beijing, Chinab School of Social Sciences, Tsinghua University, Beijing, Chinac Department of Economics, Chinese University of Hong Kong, Shatin, Hong Kong SAR, China
      Pages: 1 - 16
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-12-11T03:13:40Z
      DOI: 10.1080/07350015.2023.2294124
       
  • Variational Inference for Large Bayesian Vector Autoregressions

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      Authors: Mauro BernardiDaniele BianchiNicolas Biancoa Department of Statistical Sciences; University of Padua, Padua, Italyb School of Economics Business, Universitat Pompeu Fabra, Barcelona, Spaind Barcelona School of Economics, Barcelona, Spain
      Pages: 1 - 17
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-12-05T01:15:32Z
      DOI: 10.1080/07350015.2023.2290716
       
  • Tests for Jumps in Yield Spreads

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      Authors: Lars WinkelmannWenying Yaoa Department of Economics; Freie Universität Berlin, Berlin, Germanyb Melbourne Business School, University of Melbourne, Carlton, VIC, Australia
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-11-27T05:25:39Z
      DOI: 10.1080/07350015.2023.2271039
       
  • Efficient and Robust Estimation of the Generalized LATE Model

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      Authors: Haitian XieGuanghua School of Management; Peking University, Beijing, China
      Pages: 1 - 13
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-11-14T01:12:39Z
      DOI: 10.1080/07350015.2023.2282497
       
  • Functional-Coefficient Quantile Regression for Panel Data with Latent
           Group Structure

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      Authors: Xiaorong YangJia ChenDegui LiRunze Lia School of Statistics; Related Studies, University of York, York, UKc Department of Mathematics, University of York, York, UKd Department of Statistics, Pennsylvania State University, University Park, PA
      Pages: 1 - 27
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-10-31T12:18:35Z
      DOI: 10.1080/07350015.2023.2277172
       
  • An Empirical Bayes Approach to Controlling the False Discovery Exceedance

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      Authors: Pallavi BasuLuella FuAlessio SarettoWenguang Suna Operations Management; Indian School of Business, Hyderabad, Indiab Statistics & OR, Tel Aviv University, Tel Aviv, Israelc San Francisco State University, San Francisco, CAd Federal Reserve Bank of Dallas, Dallas, TXe School of Management Center for Data Science, Zhejiang University, Hangzhou, China
      Pages: 1 - 23
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-10-31T12:17:33Z
      DOI: 10.1080/07350015.2023.2277857
       
  • Causal Inference Under Outcome-Based Sampling with Monotonicity
           Assumptions

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      Authors: Sung Jae JunSokbae Leea Department of Economics; Pennsylvania State University, University Park, PAb Department of Economics, Columbia University, New York, NY
      Pages: 1 - 25
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-10-31T12:16:03Z
      DOI: 10.1080/07350015.2023.2277164
       
  • Modeling and Forecasting Macroeconomic Downside Risk

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      Authors: Davide Delle MonacheAndrea De PolisIvan Petrellaa Bank of Italy; Rome, Italyb University of Warwick, Coventry, UKc CEPR, London, UK
      Pages: 1 - 27
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-10-31T06:31:37Z
      DOI: 10.1080/07350015.2023.2277171
       
  • Bootstrap Inference in Cointegrating Regressions: Traditional and
           Self-Normalized Test Statistics

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      Authors: Karsten ReicholdCarsten Jentscha Institute of Statistics; Mathematical Methods in Economics, TU Wien, Vienna, Austriab Department of Statistics, TU Dortmund University, Dortmund, Germany
      Pages: 1 - 14
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-10-18T06:07:48Z
      DOI: 10.1080/07350015.2023.2271538
       
  • Double Machine Learning for Sample Selection Models

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      Authors: Michela BiaMartin HuberLukáš Lafférsa Luxembourg Institute of Socio-Economic Research; University of Luxembourg, Esch-sur-Alzette, Luxembourgb Department of Economics, University of Fribourg, Fribourg, Switzerlandc Department of Mathematics, Matej Bel University, Banská Bystrica, Slovakiad Department of Economics, Norwegian School of Economics, Bergen, Norway
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-10-16T12:20:49Z
      DOI: 10.1080/07350015.2023.2271071
       
  • Testing For Global Covariate Effects in Dynamic Interaction Event Networks

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      Authors: Alexander KreissEnno MammenWolfgang Polonika Institute of Mathematics; Leipzig University, Leipzig, Germanyb Institute for Applied Mathematics, Heidelberg University, Heidelberg, Germanyc Department of Statistics, University of California at Davis, Davis, CA
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-09-26T12:27:41Z
      DOI: 10.1080/07350015.2023.2263537
       
  • Reduced-Rank Envelope Vector Autoregressive Model

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      Authors: S. Yaser SamadiH. M. Wiranthe B. Heratha School of Mathematical; Business Analytics, Drake University, Des Moines, IA
      Pages: 1 - 27
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-09-21T12:30:06Z
      DOI: 10.1080/07350015.2023.2260862
       
  • Modeling Extreme Events: Time-Varying Extreme Tail Shape

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      Authors: Enzo D’InnocenzoAndré LucasBernd SchwaabXin Zhanga University of Bologna; Bologna, Italyb Vrije Universiteit Amsterdam, Amsterdam, The Netherlandsc Financial Research, European Central Bank, Frankfurt, Germanyd Sveriges Riksbank, Stockholm, Sweden
      Pages: 1 - 15
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-09-21T12:27:33Z
      DOI: 10.1080/07350015.2023.2260439
       
  • A Modified Randomization Test for the Level of Clustering

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      Authors: Yong CaiDepartment of Economics; Northwestern University, Evanston, IL
      Pages: 1 - 13
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-09-19T06:01:07Z
      DOI: 10.1080/07350015.2023.2261567
       
  • FNETS: Factor-Adjusted Network Estimation and Forecasting for
           High-Dimensional Time Series

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      Authors: Matteo BarigozziHaeran ChoDom Owensa Department of Economics; Università di Bologna, Bologna, Italyb School of Mathematics, University of Bristol, Bristol, UK
      Pages: 1 - 13
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-09-14T12:19:41Z
      DOI: 10.1080/07350015.2023.2257270
       
  • On the Combination of Naive and Mean-Variance Portfolio Strategies

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      Authors: Nathan LassanceRodolphe VandervekenFrédéric Vrinsa LFIN/LIDAM; UCLouvain, Louvain-la-Neuve, Belgiumb Department of Decision Sciences, HEC Montréal, Montreal, Canada
      Pages: 1 - 15
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-09-08T01:52:22Z
      DOI: 10.1080/07350015.2023.2256801
       
  • Correcting for Endogeneity in Models with Bunching

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      Authors: Carolina CaetanoGregorio CaetanoEric Nielsena University of Georgia; Athens, GAb Federal Reserve Board, Washington, DC
      Pages: 1 - 13
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-09-05T12:34:35Z
      DOI: 10.1080/07350015.2023.2252471
       
  • Powerful Backtests for Historical Simulation Expected Shortfall Models

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      Authors: Zaichao DuPei PeiXuhui WangTao Yanga School of Economics; Fudan University, Shanghai, Chinab Chinese Academy of Finance Finance, Shanghai, Chinad School of Business, Shandong University, Weihai, China
      Pages: 1 - 11
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-08-28T05:57:38Z
      DOI: 10.1080/07350015.2023.2252881
       
  • Large Order-Invariant Bayesian VARs with Stochastic Volatility

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      Authors: Joshua C. C. ChanGary KoopXuewen Yua Department of Economics; Purdue University, West Lafayette, IN, USAb Department of Economics, University of Strathclyde, Glasgow, UKc School of Management, Fudan University, Shanghai, China
      Pages: 1 - 13
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-08-25T02:01:27Z
      DOI: 10.1080/07350015.2023.2252039
       
  • Inference on Consensus Ranking of Distributions

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      Authors: David M. KaplanDepartment of Economics; University of Missouri, Columbia, MO
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-08-25T02:01:22Z
      DOI: 10.1080/07350015.2023.2252040
       
  • Extreme Changes in Changes

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      Authors: Yuya SasakiYulong Wanga Vanderbilt University; Nashville, TNb Syracuse University, Syracuse, NY
      Pages: 1 - 13
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-08-17T12:20:51Z
      DOI: 10.1080/07350015.2023.2249509
       
  • An LM Test for the Conditional Independence between Regressors and Factor
           Loadings in Panel Data Models with Interactive Effects

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      Authors: George KapetaniosLaura SerlengaYongcheol Shina King’s College London; London, UKb University of Bari, Bari, Italyc University of York, York, UK
      Pages: 1 - 19
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-08-04T02:44:07Z
      DOI: 10.1080/07350015.2023.2238774
       
  • A Design-Based Perspective on Synthetic Control Methods

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      Authors: Lea BottmerGuido W. ImbensJann SpiessMerrill Warnicka Department of Economics; Stanford University, Stanford, CAb Graduate School of Business, Stanford University, Stanford, CA
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-08-04T02:43:49Z
      DOI: 10.1080/07350015.2023.2238788
       
  • Generalizing the Results from Social Experiments: Theory and Evidence from
           India

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      Authors: Michael GechterDepartment of Economics; The Pennsylvania State University, University Park, PA
      Pages: 1 - 11
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-07-27T06:25:26Z
      DOI: 10.1080/07350015.2023.2241529
       
  • Generalized Autoregressive Positive-valued Processes

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      Authors: Bruno FeunouBank of Canada; Ottawa, Canada
      Pages: 1 - 15
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-07-25T12:14:02Z
      DOI: 10.1080/07350015.2023.2239869
       
  • Dynamic Autoregressive Liquidity (DArLiQ)

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      Authors: Christian M. HafnerOliver B. LintonLinqi Wanga Louvain Institute of Data Analysis; ISBA, UCLouvain, Louvain-la-Neuve, Belgiumb Faculty of Economics, University of Cambridge, Cambridge, UK
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-07-24T12:39:14Z
      DOI: 10.1080/07350015.2023.2238790
       
  • Instrumental Variable Estimation of Dynamic Treatment Effects on a
           Duration Outcome

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      Authors: Jad BeyhumSamuele CentorrinoJean-Pierre FlorensIngrid Van Keilegoma CREST; ENSAI, Rennes, Franceb ORSTAT, KU Leuven, Leuven, Belgiumc Economics Department, Stony Brook University, Stony Brook, NYd Toulouse School of Economics, Université Toulouse 1 Capitole, Toulouse, France
      Pages: 1 - 11
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-07-24T12:32:54Z
      DOI: 10.1080/07350015.2023.2231053
       
  • A General Framework for Constructing Locally Self-Normalized
           Multiple-Change-Point Tests

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      Authors: Cheuk Hin ChengKin Wai ChanDepartment of Statistics; The Chinese University of Hong Kong, Hong Kong
      Pages: 1 - 13
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-07-24T12:31:16Z
      DOI: 10.1080/07350015.2023.2231041
       
  • Model-Assisted Complier Average Treatment Effect Estimates in Randomized
           Experiments with Noncompliance

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      Authors: Jiyang RenCenter for Statistical Science; Department of Industrial Engineering, Tsinghua University, Beijing, China
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-07-12T08:16:08Z
      DOI: 10.1080/07350015.2023.2224851
       
  • Consistent Estimation of Multiple Breakpoints in Dependence Measures

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      Authors: Marvin BorschAlexander MayerDominik Wieda Institute of Econometrics; Statistics, University of Cologne, Cologne, Germanyb Department of Economics, Università Ca’ Foscari Venezia, Venice, Italy
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-07-12T08:10:42Z
      DOI: 10.1080/07350015.2023.2224850
       
  • Asset Pricing via the Conditional Quantile Variational Autoencoder

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      Authors: Xuanling YangZhoufan ZhuDong LiKe Zhua Center for Statistical Science; Department of Industrial Engineering, Tsinghua University, Beijing, Chinab School of Statistics Actuarial Science, University of Hong Kong, Hong Kong
      Pages: 1 - 14
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-07-11T12:17:11Z
      DOI: 10.1080/07350015.2023.2223683
       
  • Uniform Nonparametric Inference for Spatially Dependent Panel Data

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      Authors: Jia LiZhipeng LiaoWenyu Zhoua School of Economics; Singapore Management University, Singaporeb Department of Economics, UCLA, Log Angeles, CAc International Business School, Zhejiang University, Haining, Zhejiang, Chinad School of Economics, Zhejiang University, Hangzhou, Zhejiang, China
      Pages: 1 - 11
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-07-11T12:13:01Z
      DOI: 10.1080/07350015.2023.2219283
       
  • A Simple Correction for Misspecification in Trend-Cycle Decompositions
           with an Application to Estimating r*

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      Authors: James MorleyTrung Duc TranBenjamin Wonga School of Economics; University of Sydney, Sydney, New South Wales, Australia;b KPMG Australia, Melbourne, Victoria, Australia;c Department of Econometrics Business Statistics, Melbourne, Victoria, Australia
      Pages: 1 - 16
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-07-07T12:24:59Z
      DOI: 10.1080/07350015.2023.2221974
       
  • Adaptive Testing for Alphas in High-Dimensional Factor Pricing Models

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      Authors: Qiang XiaXianyang Zhanga College of Mathematics; Informatics, South China Agricultural University, Guangzhou, Chinab Department of Statistics, Texas A&M University, College Station, TX
      Pages: 1 - 14
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-06-29T12:19:11Z
      DOI: 10.1080/07350015.2023.2217871
       
  • Tie-Break Bootstrap for Nonparametric Rank Statistics

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      Authors: Juwon SeoDepartment of Economics; National University of Singapore, Singapore
      Pages: 1 - 13
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-06-16T01:13:05Z
      DOI: 10.1080/07350015.2023.2210181
       
  • Jumps or Staleness'

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      Authors: Aleksey KolokolovRoberto Renòa Alliance Manchester Business School; Manchester, UKb ESSEC Business School, Cergy, France
      Pages: 1 - 17
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-06-15T06:58:24Z
      DOI: 10.1080/07350015.2023.2203207
       
  • The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility
           Models

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      Authors: Dachuan ChenChenxu LiCheng Yong TangJun Yana School of Statistics; Data Science, Nankai University, Tianjin, P. R. Chinab Guanghua School of Management, Peking University, Beijing, P. R. Chinac Department of Statistics, Temple University, Philadelphia, PAd Department of Statistics, Stanford University, Stanford, CA
      Pages: 1 - 15
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-06-05T12:22:06Z
      DOI: 10.1080/07350015.2023.2203756
       
  • Bootstrap Inference for Panel Data Quantile Regression

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      Authors: Antonio F. GalvaoThomas ParkerZhijie Xiaoa Department of Economics; Michigan State University, East Lansing, MIb Department of Economics, University of Waterloo, Waterloo, Canadac Department of Economics, Boston College, Chestnut Hill, MA
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-06-02T07:05:44Z
      DOI: 10.1080/07350015.2023.2210189
       
  • Neural Networks for Partially Linear Quantile Regression

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      Authors: Qixian ZhongJane-Ling Wanga Department of Statistics; MOE Key Laboratory of Econometrics, Xiamen University, Xiamen, Chinab Department of Statistics, University of California, Davis, Davis, CA
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-06-02T06:57:34Z
      DOI: 10.1080/07350015.2023.2208183
       
  • Estimating a Continuous Treatment Model with Spillovers: A Control
           Function Approach

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      Authors: Tadao HoshinoSchool of Political Science; Economics, Waseda University, Tokyo, Japan
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-06-02T06:46:23Z
      DOI: 10.1080/07350015.2023.2207617
       
  • Links and Legibility: Making Sense of Historical U.S. Census Automated
           Linking Methods

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      Authors: Arkadev GhoshSam Il Myoung HwangMunir Squiresa briq: Institute on Behavior; Inequality, Bonn, Germanyb University of British Columbia, Vancouver, Canada
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-06-02T06:46:17Z
      DOI: 10.1080/07350015.2023.2205918
       
  • Simple Inference on Functionals of Set-Identified Parameters Defined by
           Linear Moments

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      Authors: JoonHwan ChoThomas M. Russella Department of Economics; University of Toronto, Toronto, Ontario, Canada b Department of Economics, Carleton University, Ottawa, Ontario, Canada
      Pages: 1 - 16
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-05-30T12:47:00Z
      DOI: 10.1080/07350015.2023.2203768
       
  • Estimation and Inference on Time-Varying FAVAR Models

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      Authors: Zhonghao FuLiangjun SuXia Wanga School of Economics; Fudan University, Shanghai, China;b Shanghai Institute of International Finance Management, Tsinghua University, Beijing, China;d School of Economics, Renmin University of China, Beijing, China
      Pages: 1 - 15
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-05-30T12:42:45Z
      DOI: 10.1080/07350015.2023.2203726
       
  • Bonferroni Type Tests for Return Predictability and the Initial Condition

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      Authors: Sam AstillDavid I. HarveyStephen J. LeybourneA. M. Robert Taylora Essex Business School; University of Essex, Colchester, UKb Granger Centre for Time Series Econometrics School of Economics, University of Nottingham, Nottingham, UK
      Pages: 1 - 17
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-05-30T12:40:50Z
      DOI: 10.1080/07350015.2023.2201313
       
  • Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability

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      Authors: Tobias FisslerYannick Hogaa Department of Finance; Accounting Business Administration, University of Duisburg-Essen, Essen, Germany
      Pages: 1 - 14
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-05-30T12:34:56Z
      DOI: 10.1080/07350015.2023.2200514
       
  • Estimation of Matrix Exponential Unbalanced Panel Data Models with Fixed
           Effects: An Application to US Outward FDI Stock

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      Authors: Ye YangOsman DoğanSüleyman Taşp Inara School of Accounting; Capital University of Economics Business, Beijing, Chinab Department of Economics, Istanbul Technical University, Istanbul, Turkeyc Department of Economics, Queens College, The City University of New York, New York, NY
      Pages: 1 - 16
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-05-08T03:32:23Z
      DOI: 10.1080/07350015.2023.2200486
       
  • A Dynamic Binary Probit Model with Time-Varying Parameters and Shrinkage
           Prior

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      Authors: Zhongfang HeRoyal Bank of Canada; Toronto, Canada
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-05-04T12:16:27Z
      DOI: 10.1080/07350015.2023.2200458
       
  • Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models

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      Authors: Jiti GaoBin PengYayi Yana Department of Econometrics; Economics, Shanghai, China
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-04-17T12:20:36Z
      DOI: 10.1080/07350015.2023.2191673
       
  • Matrix Factor Analysis: From Least Squares to Iterative Projection

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      Authors: Yong HeXinbing KongLong YuXinsheng ZhangChangwei Zhaoa Shandong University; Jinan, Chinab Nanjing Audit University, Nanjing, Chinac Shanghai University of Finance Economics, Shanghai, Chinad Fudan University, Shanghai, China
      Pages: 1 - 13
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-04-14T12:13:44Z
      DOI: 10.1080/07350015.2023.2191676
       
  • Two-Directional Simultaneous Inference for High-Dimensional Models

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      Authors: Wei LiuHuazhen LinJin LiuShurong Zhenga Center of Statistical Research; Statistics, Northeast Normal University, Changchun, China
      Pages: 1 - 23
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-04-14T12:11:05Z
      DOI: 10.1080/07350015.2023.2191672
       
  • Assessing Sensitivity to Unconfoundedness: Estimation and Inference

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      Authors: Matthew A. MastenAlexandre PoirierLinqi Zhanga Department of Economics; Duke University, Durham, NCb Department of Economics, Georgetown University, Washington, DCc Department of Economics, Boston College, Chestnut Hill, MA
      Pages: 1 - 13
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-04-07T07:43:08Z
      DOI: 10.1080/07350015.2023.2183212
       
  • High-Dimensional Censored Regression via the Penalized Tobit Likelihood

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      Authors: Tate JacobsonHui ZouSchool of Statistics; University of Minnesota, Minneapolis, MN
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-03-15T12:41:35Z
      DOI: 10.1080/07350015.2023.2182309
       
  • Probabilistic Forecast Reconciliation under the Gaussian Framework

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      Authors: Shanika L. WickramasuriyaDepartment of Statistics; University of Auckland, Auckland, New Zealand
      Pages: 1 - 14
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-03-15T12:39:55Z
      DOI: 10.1080/07350015.2023.2181176
       
  • A One-Sided Refined Symmetrized Data Aggregation Approach to Robust Mutual
           Fund Selection

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      Authors: Long FengBinghui LiuYanyuan Maa School of Statistics; KLAS, Northeast Normal University, Changchun, Chinac Department of Statistics, Pennsylvania State University, University Park, PA
      Pages: 1 - 15
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-03-03T07:07:39Z
      DOI: 10.1080/07350015.2023.2174549
       
  • Estimations and Tests for Generalized Mediation Models with
           High-Dimensional Potential Mediators

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      Authors: Xu GuoRunze LiJingyuan LiuMudong Zenga School of Statistics; Beijing Normal University, Beijing, P.R Chinab Department of Statistics, The Pennsylvania State University, University Park, PAc MOE Key Laboratory of Econometrics, Department of Statistics Fujian Key Lab of Statistics, Xiamen University, Xiamen, P.R China
      Pages: 1 - 14
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-03-03T07:04:14Z
      DOI: 10.1080/07350015.2023.2174548
       
  • On Bivariate Time-Varying Price Staleness

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      Authors: Haibin ZhuZhi Liua Department of Statistics; Technology Research Institute, Zhuhai, China
      Pages: 1 - 14
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-03-03T02:14:53Z
      DOI: 10.1080/07350015.2023.2174547
       
  • Specification Tests for GARCH Processes with Nuisance Parameters on the
           Boundary

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      Authors: Giuseppe CavaliereIndeewara PereraAnders Rahbeka Department of Economics; University of Exeter, Exeter, UKb Department of Economics, University of Bologna, Bologna, Italyc Department of Economics, The University of Sheffield, Sheffield, UKd Department of Economics, University of Copenhagen, Copenhagen, Denmark
      Pages: 1 - 18
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-02-24T01:39:08Z
      DOI: 10.1080/07350015.2023.2173206
       
  • On the Least Squares Estimation of Multiple-Threshold-Variable
           Autoregressive Models

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      Authors: Xinyu ZhangDong LiHowell Tonga Department of Statistics; Political Science, London, UK
      Pages: 1 - 29
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-02-23T01:24:46Z
      DOI: 10.1080/07350015.2023.2174124
       
  • Prediction Using Many Samples with Models Possibly Containing Partially
           Shared Parameters

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      Authors: Xinyu ZhangHuihang LiuYizheng WeiYanyuan Maa Academy of Mathematics; Technology of China, Hefei, Chinac Department of Statistics, University of South Carolina, Columbia, SC, USAd Department of Statistics, Pennsylvania State University, University Park, PA, USA
      Pages: 1 - 10
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-02-14T03:45:53Z
      DOI: 10.1080/07350015.2023.2166515
       
  • Optimal Subsampling Bootstrap for Massive Data

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      Authors: Yingying MaChenlei LengHansheng Wanga School of Economics; Management, Beihang University, Beijing, China; b Department of Statistics, University of Warwick, Coventry, UK; c Guanghua School of Management, Peking University, Beijing, China
      Pages: 1 - 26
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-02-14T03:45:23Z
      DOI: 10.1080/07350015.2023.2166514
       
  • Low Frequency Cointegrating Regression with Local to Unity Regressors and
           Unknown Form of Serial Dependence

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      Authors: Jungbin HwangGonzalo Valdésa Department of Economics; University of Connecticut, Storrs, CT; b Departamento de Ingeniería Industrial y de Sistemas Universidad de Tarapacá, Arica, Chile
      Pages: 1 - 29
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-02-14T03:45:22Z
      DOI: 10.1080/07350015.2023.2166513
       
  • Bayesian Nonparametric Panel Markov-Switching GARCH Models

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      Authors: Roberto CasarinMauro CostantiniAnthony Osuntuyia Ca’ Foscari University of Venice; Venice, Italyb University of L’Aquila, L’Aquila, Italy
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-02-14T03:38:45Z
      DOI: 10.1080/07350015.2023.2166049
       
  • Forecasting a Nonstationary Time Series Using a Mixture of Stationary and
           Nonstationary Factors as Predictors

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      Authors: Sium Bodha HannadigeJiti GaoMervyn J. SilvapulleParam SilvapulleDepartment of Econometrics; Business Statistics, Monash University, Caulfield, Australia
      Pages: 1 - 13
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-02-14T03:33:26Z
      DOI: 10.1080/07350015.2023.2166048
       
  • Identification of a Triangular Two Equation System Without Instruments

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      Authors: Arthur LewbelSusanne M. SchennachLinqi Zhanga Boston College; Chestnut Hill, MAb Brown University, Providence, RI
      Pages: 1 - 12
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-02-06T01:18:07Z
      DOI: 10.1080/07350015.2023.2166052
       
  • Two-Sample Testing for Tail Copulas with an Application to Equity Indices

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      Authors: Sami Umut CanJohn H. J. EinmahlRoger J. A. Laevena Department of Quantitative Economics; University of Amsterdam, Amsterdam, Netherlandsb Department of Econometrics & OR CentER, Tilburg University, Tilburg, Netherlands
      Pages: 1 - 13
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-02-06T01:16:06Z
      DOI: 10.1080/07350015.2023.2166050
       
  • Identification of Time-Varying Factor Models

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      Authors: Ying Lun CheungInternational School of Economics; Business, Beijing, China
      Pages: 1 - 19
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-01-05T08:55:16Z
      DOI: 10.1080/07350015.2022.2151449
       
  • Getting the ROC into Sync

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      Authors: Liu YangKajal LahiriAdrian Pagana School of Economics; Nanjing University, Nanjing, Chinab Department of Economics, University at Albany, SUNY, Albany, NYc School of Economics, University of Sydney, Sydney, Australia
      Pages: 1 - 13
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-01-03T01:27:34Z
      DOI: 10.1080/07350015.2022.2154778
       
  • Estimation of a Structural Break Point in Linear Regression Models

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      Authors: Yaein BaekKorea Institute for International Economic Policy; Sejong, Korea
      Pages: 1 - 14
      Abstract: .

      Citation: Journal of Business & Economic Statistics
      PubDate: 2023-01-03T01:22:23Z
      DOI: 10.1080/07350015.2022.2154777
       
 
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